Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0041
Annualized Std Dev 0.2303
Annualized Sharpe (Rf=0%) 0.0179

Row

Daily Return Statistics

Close
Observations 3714.0000
NAs 1.0000
Minimum -0.1149
Quartile 1 -0.0056
Median 0.0008
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0065
Maximum 0.1417
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0145
Skewness -0.4887
Kurtosis 11.7680

Downside Risk

Close
Semi Deviation 0.0108
Gain Deviation 0.0100
Loss Deviation 0.0122
Downside Deviation (MAR=210%) 0.0152
Downside Deviation (Rf=0%) 0.0107
Downside Deviation (0%) 0.0107
Maximum Drawdown 0.6427
Historical VaR (95%) -0.0215
Historical ES (95%) -0.0366
Modified VaR (95%) -0.0222
Modified ES (95%) -0.0424
From Trough To Depth Length To Trough Recovery
2007-11-01 2009-03-09 NA -0.6427 3369 339 NA
2007-07-13 2007-08-16 2007-10-01 -0.1352 56 25 31
2007-02-27 2007-03-05 2007-04-03 -0.0780 26 5 21
2006-07-05 2006-07-18 2006-07-28 -0.0637 18 10 8
2007-06-05 2007-06-12 2007-07-02 -0.0425 20 6 14

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA 3.6 -0.1 1.2 -0.3 -0.3 -0.4 -0.3 3.4
2007 0.7 -1.4 0.1 0.3 0.7 0.4 0.3 1.9 1.4 -2.7 0.7 -1.4 0.9
2008 1.8 -2.6 2.5 0.4 0.2 -1.6 -0.9 -0.4 0 -1.2 -7 1.1 -7.7
2009 -0.1 -0.2 2.1 1.1 1.8 0.8 0.7 -2.9 -2.2 -3.5 1.8 -0.5 -1.4
2010 1.8 0 1.3 -1.1 -0.2 1.7 0.1 3.2 1.2 -0.3 2.9 0.7 12.1
2011 2.4 -1.5 0.5 0.1 -2.2 0.7 -0.9 -1.2 -2.4 -3.3 -1.2 0.3 -8.4
2012 1.6 0.7 1 0.5 -2.1 3.4 0.2 0.9 0.9 0.9 0.1 1.3 9.6
2013 0.8 -0.1 -1.1 -0.9 -2.2 0.8 1 -0.9 0.5 -0.3 0.2 0.5 -1.7
2014 -1.5 0.4 0.4 0 0.2 0.7 -0.7 -0.1 -1 1.4 -0.3 -0.7 -1.4
2015 -1.4 0.3 0.6 0.6 -0.4 0.5 0.3 -2.8 0.3 0 1 -1.2 -2.1
2016 -0.1 2.5 -0.9 -0.5 -0.1 0.2 -0.7 0.6 0.8 -0.2 0.1 0.3 1.9
2017 0.3 1 -0.2 0.3 0.6 0.2 0.6 0.2 0.6 0.1 -0.3 -0.1 3.3
2018 0.2 -1.2 0.7 -0.3 0.6 0.6 -0.7 -0.8 0.2 1 -0.3 0.2 0.2
2019 0.1 0.4 1 -0.7 -0.8 0.5 -0.6 0.3 -0.8 0.9 -0.8 0.5 0
2020 -1.7 -0.5 -3.8 -2.3 2 0.2 -2.1 -0.2 0 -0.4 1.9 -0.5 -7.4
2021 1.2 1.6 0.4 NA NA NA NA NA NA NA NA NA 3.2

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart